Hi,
I've been using the xtfevd.ado package on a dataset as I have a number of rarely changing variables. I am getting incredibly large confidence intervals. To test the generalizability of this error (at least I suspect I'm doing something wrong) I made a dataset with variables that I was sure to reveal strong relationships. I tested this dataset and model with OLS, RE, FE, xthtaylor and finally also with xtfevd.
For most variables I get very narrow confidence intervals (P values of around 0.00), but these jump to 0.9 or above when using xtfevd. I notice that there's an incredibly high nr of degress of freedom too, but I'm lost as what I'm doing wrong.
Output of this testing provided in the attachment, including explanation of variables (at the bottom of this attachment).
Any suggestions would be greatly appreciated.
Thanks,
Jorrit
I've been using the xtfevd.ado package on a dataset as I have a number of rarely changing variables. I am getting incredibly large confidence intervals. To test the generalizability of this error (at least I suspect I'm doing something wrong) I made a dataset with variables that I was sure to reveal strong relationships. I tested this dataset and model with OLS, RE, FE, xthtaylor and finally also with xtfevd.
For most variables I get very narrow confidence intervals (P values of around 0.00), but these jump to 0.9 or above when using xtfevd. I notice that there's an incredibly high nr of degress of freedom too, but I'm lost as what I'm doing wrong.
Output of this testing provided in the attachment, including explanation of variables (at the bottom of this attachment).
Any suggestions would be greatly appreciated.
Thanks,
Jorrit
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